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»Forums Index »Product Support »Data and Content Support »ATTN. Jay: Conflicting ES Data on 7/8
Author Topic: ATTN. Jay: Conflicting ES Data on 7/8 (5 messages, Page 1 of 1)

-Interested User-
Posts: 48
Joined: Feb 13, 2007

Posted: Jul 21, 2011 10:11 AM          Msg. 1 of 5
Jay I hope YOU can address this. I've asked about this twice before from tech. support and no one followed up.

Talking to several people who use either Sierra Chart, as I do, or IRT along with IQFeed, we get conflicting data for the ES. On July 8, during RTH, I show, along with a couple of others, a VPOC of 1333.75 while others are showing 1335.50. Can you please confirm what your data is showing please? There have been other days that have conflicting data as well.

Thank you very much

-Interested User-
Posts: 48
Joined: Feb 13, 2007

Posted: Jul 22, 2011 03:36 PM          Msg. 2 of 5
After looking at this more, I noticed that if I reload data with minute data it gives me the 33.75 vpoc but then load with tick data it gives me 35.50 vpoc.

-DTN Guru-
Posts: 2086
Joined: Nov 21, 2005

Posted: Jul 28, 2011 10:22 AM          Msg. 3 of 5
conr, my apologies for the delayed response.

VPOC isnt something we provide inherently in the feed which means it has to be calculated in the software package that is being used.

From my understanding VPOC is an analysis that determines the price at which the heaviest volume of trades are executed during a given time period.

This means that if you are building the data from the streaming feed, it could vary from user to user depending on the quality of thier connection to our servers.

If you are building the data from historical data, there could still be some variance depending on how you are building it. It should match if you are building from tick data. However, minute data could also be off between software vendors depending on how each one calculates it (does it use an average of the H/L or does it use the Open/Close at each interval?).

Basically, without knowing how each software package is calculating the VPOC it will be nearly impossible for us to track down the cause of this. After that point, we will also need the loginIDs of the users comparing so that we can monitor the connections while they are showing different values.

-Interested User-
Posts: 48
Joined: Feb 13, 2007

Posted: Jul 29, 2011 11:22 AM          Msg. 4 of 5
Geez, here we go. He said she said. Sierra Charts says it's your feed. Everybody blames the other and nobody wants to fix.

-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004


Posted: Jul 29, 2011 01:48 PM          Msg. 5 of 5
Not sure where in the reply we were blaming anyone. We can't troubleshoot analytics or signals from 3rd party analytics unfortunately. Our support group is more than willing to work with you to try to identify why you are seeing different results. Give them a call, provide details on what you are seeing, and we will dig in to try to help you. The reason we provide 800# support is because WE DO want to help customers fix issues.

Jay Froscheiser
Telvent DTN


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